摘要
研究了带有资金下界约束的M-V(mean-variance)证券投资组合的扰动问题.提出了带有资金下界约束的M-V证券投资组合模型,给出了模型的最优解和有效前沿.对有效前沿和最优解进行了灵敏度分析,得到了有效前沿的运动规律和最优解的扰动规律.
This paper studies the perturbance of M-V（mean-variance） portfolio with lower budge constraint. The model is set up of M-V portfolio with lower budge constraint. Then the optimal solution and efficient frontier of the model are provided. By sensitivity analysis for efficient frontier and optimal solution, movement rule of the efficient frontier and perturbation of the optimal solution are obtained.
出处
《新乡学院学报》
2012年第3期193-194,199,共3页
Journal of Xinxiang University
关键词
证券投资
灵敏度分析
资金下界约束
有效前沿
最优解
portfolio
sensitivity analysis
lower bound constraint
efficient frontier
optimal solution
